By means of Event Study, Panel Data Regression and Feasible Generalized Least Squares, we discuss the influence of uncertainty of information on the Post-Earnings Announcement Drift. We find that there are not significant differences between the H-share financial statements and the A-share...

This paper studies Chinese warrant price deviation. By observing “asymmetric price error” phenomena, we propose that the rational hedging and speculation motivation is one important cause for warrant price deviations. Investors do not speculate irrationally under the resale motivation all...

This paper examines the reaction of investors to the arrival of unexpected information in the Chinese equity market. Market surprises are identified using a strictly quantitative approach, and cumulative abnormal returns are calculated and tracked for a period of 30 days after each favorable or...

Recent theoretical studies (Aggarwal and Wu, 2006; Mei, Wu and Zhou, 2004) show that trade-based stock price manipulation is a possible source of the momentum effect. This paper proposes three sets of testable hypotheses and provides empirical evidence for a manipulation-based explanation of...